Stochastic integration with respect to Gaussian processes.

DOI10.1016/S1631-073X(02)02360-9zbMath1074.60066MaRDI QIDQ1608703

Laurent Decreusefond

Publication date: 2002

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items

Variational solutions for partial differential equations driven by a fractional noise ⋮ A Kolmogorov and Tightness Criterion in Modular Besov Spaces and an Application to a Class of Gaussian Processes ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes ⋮ Time reversal of Volterra processes driven stochastic differential equations ⋮ On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

Cites Work

• Unnamed Item
• Unnamed Item
• The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by rough signals
• Stochastic analysis of the fractional Brownian motion
• On fractional Brownian processes
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• On the relation between the Stratonovich and Ogawa integrals
• An introduction to analysis on Wiener space
• Identification d’un processus gaussien multifractionnaire avec des ruptures sur la fonction d’échelle
• Stochastic calculus with respect to Gaussian processes
• Estimates of the Sobolev norm of a product of two functions
• Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
• Regularity properties of some stochastic Volterra integrals with singular kernel